Below is a weekly summary of our research findings for 12/3/18 through 12/7/18. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs.
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- Free Data and the Collapse of Trading Costs
Real-time stock data costs/prices have fallen dramatically over recent years, to practically zero for retail investors. - Testing ETF Momentum/Reversal Strategies
Evidence overall indicates that momentum/reversal strategies are largely ineffective when restricted to U.S. equity ETFs and underlying stocks, but potentially useful when applied to a mix of asset classes. - Personal Trading Performance of Financial Intermediaries
Evidence indicates that employees of financial intermediaries outperform other individual investors by exploiting their access to private information. - Curbing Data Snooping
The proposed financial markets research protocol balances dual objectives of suppressing false strategies while discovering good ones. - It Can’t All Be Data Snooping?
Sanity checks indicate that data snooping alone cannot explain the large zoo of stock return anomalies.
